Corona, crisis and conditional heteroscedasticity. Issue 9 (21st May 2021)

• Record Type: Journal Article
• Authors: Kiss, Tamás; Österholm, Pär
• Is Part Of: Applied economics letters. Volume 28:Issue 9(2021)
• Page Start: 755
• Page End: 759
• Publication Date: 2021-05-21
• Subjects: GARCH -- non-Gaussianity -- fan charts -- global output growth; C22 -- E32 -- E37; Economics -- Periodicals; Economics, Mathematical -- Periodicals; 330
• DOI: 10.1080/13504851.2020.1776829
• Languages: English
• ISSNs: 1350-4851

Abstract

ABSTRACT: In this paper, we illustrate the macroeconomic risk associated with the early stage of the corona-virus outbreak. Using monthly data ranging from July 1991 to March 2020 on a recently developed coincidence indicator of global output growth, we estimate an autoregressive model with GARCH effects and non-Gaussian disturbances. Our results indicate that i) accounting for conditional heteroscedasticity is important and ii) risk, measured as the volatility of the shocks to the process, is at a very high level – largely on par with that experienced around the financial crisis of 2008–2009.